The majority of modelling and inference regarding Hidden Markov Models (HMMs) assumes that the number of underlying states is known a priori. However, this is often not the case and thus determining the appropriate number of underlying states for a HMM is of considerable interest. This paper...

In this paper we investigate whether the forecast of the HICP components (indirect approach) improves upon the forecast of overall HICP (direct approach) and whether the aggregation of country forecasts improves upon the forecast of the euro-area as a whole, considering the four largest euro...